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The role of systemic risk spillovers in the transmission of Euro Area monetary policy
Skouralis, Alexandros - In: Open economies review 34 (2023) 5, pp. 1079-1106
Persistent link: https://www.econbiz.de/10014443848
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The role of systemic risk spillovers in the transmission of Euro area monetary policy
Skouralis, Alexandros - 2021
This paper empirically investigates the transmission of systemic risk across the Euro Area by employing a Global VAR … model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the …
Persistent link: https://www.econbiz.de/10012704731
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Systemic risk spillovers across the Euro area
Skouralis, Alexandros - 2021
Persistent link: https://www.econbiz.de/10012584364
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Monetary policy and systemic risk-taking in the Euro area investment fund industry : a structural factor-augmented vector autoregression analysis
Jin, Xisong; Nadal-De Simone, Francisco - In: Journal of financial stability 49 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012391875
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Macroeconomic effects of financial stress and the role of monetary policy : a VAR analysis for the euro area
Kremer, Manfred - In: International economics and economic policy : IEEP 13 (2016) 1, pp. 105-138
Persistent link: https://www.econbiz.de/10011450211
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Systemic risk and the sovereign-bank default nexus : a network vector autoregression approach
Claeys, Peter; Vašíček, Bořek - In: The journal of network theory in finance 1 (2015) 4, pp. 27-72
Persistent link: https://www.econbiz.de/10011449789
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The financial market effects of the ECB's balance sheet policies
Lewis, Vivien; Roth, Markus - 2015
Persistent link: https://www.econbiz.de/10011705372
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How risky is monetary policy? : the effect of monetary policy on systemic risk in the Euro area
Leitner, Georg; Hübel, Teresa; Wolfmayr, Anna; … - 2021
Persistent link: https://www.econbiz.de/10012501654
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Beyond spreadsmeasuring sovereign market stress in the euro area
Garcia de Andoain, Carlos; Kremer, Manfred - 2018
. Finally, an application of the country-specific SovCISS indicators to the VAR-based spillover literature suggests that stress …
Persistent link: https://www.econbiz.de/10011921004
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The dynamics of spillover effects during the European sovereign debt turmoil
Alter, Adrian; Beyer, Andreas - In: Journal of banking & finance 42 (2014), pp. 134-153
Persistent link: https://www.econbiz.de/10010408412